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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1978 Volume 23, Issue 4, Pages 744–761 (Mi tvp3109)

This article is cited in 19 papers

On the accuracy of the remainder term estimation in the central limit theorem

L. V. Rozovskiĭ

Leningrad

Abstract: Let $X_1,\dots$ be a sequence of independent random variables with a common distribution function $V(x)$. Put
\begin{gather*} F_n(x)=\mathbf P\biggl\{\frac{1}{b_n}(X_1+\dots+X_n)-a_n<x\biggr\},\\ \Phi(x)=\frac{1}{\sqrt{2\pi}}\int_{-\infty}^x e^{t^2/2}\,dt,\quad\Delta(b_n,a_n)=\sup_x|F_n(x)-\Phi(x)|,\\ \Delta_n=\inf_{a_n,b_n}\Delta(b_n,a_n) \end{gather*}
where $a_n$, $b_n$ ($b_n>0$) are sequences of real numbers.
The paper deals with questions of the accuracy in estimating $|F_n(x)-\Phi(x)|$ when $V(x)$ belongs to the domain of attraction of a normal law. In particular, necessary and sufficient conditions for
$$ \biggl(\sum_{n=1}^{\infty}(g(n)\Delta_n)^s\frac{1}{n}\biggr)^{1/s}<\infty,\qquad 1\le s\le\infty, $$
are obtained. (Here $g(x)$ is a function which satisfies some conditions.)

Received: 28.02.1977


 English version:
Theory of Probability and its Applications, 1979, 23:4, 712–730

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